Red Rock Capital has two distinctly different managed account investment programs. The daily correlation between the two programs has only been 0.36 over the past year.
The multi-award winning Commodity Long-Short Program utilizes a unique, quantitative pattern recognition strategy that is designed to capture long or short directional “volatility bursts” in physical commodity futures (no financials). The patterns are not visible to the naked eye. Positions are generated in both counter-trend and trending environments. The average holding period of a trade is 9 days. Most notably, the program has an extremely low 0.26 correlation to the SG (formerly Newedge) Trend CTA Index (the top 10 largest trend following CTAs open for investment).
CLS Program Specs
Avg. Margin/Equity: 10%
Avg. Trade Length (days): 9
Correlation to CTAs: 0.26
The firm's original strategy with a long, 13.5-year track record. The Systematic Global Macro Program is designed to capture the high-value payoff portion of globally trending markets by blending the benefits of both momentum and probability theory. The Program has three distinct aspects: Market Profiling, Alpha Generation, and Phase Discrimination. The Program is completely quantitative, systematic, and adaptable. Long and short positions are tactically implemented and managed on a globally diverse portfolio of approximately 70 liquid futures markets. It exhibits no meaningful correlation to stocks or bonds.
SGM Program Specs
Avg. Margin/Equity: 10%
Avg. Trade Length (days): 150
Please send me additional information and performance summary on the following program(s):
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The risk of loss in trading commodities & futures contracts can be substantial. You should therefore carefully consider whether such trading is suitable for you in light of your financial condition. The high degree of leverage that is often obtainable in commodity trading can work against you as well as for you. The use of leverage can lead to large losses as well as gains. In some cases, managed commodity accounts are subject to substantial charges for management and advisory fees. It may be necessary for those accounts that are subject to these charges to make substantial trading profits to avoid depletion or exhaustion of their assets. The disclosure document contains a complete description of the principal risk factors and each fee to be charged to your account by the Commodity Trading Advisor. The regulations of the Commodity Futures Trading Commission require that prospective clients of a CTA receive a disclosure document at or prior to the time an advisory agreement is delivered and that certain risk factors be highlighted. This document is readily accessible from Red Rock Capital, LLC. This brief statement cannot disclose all of the risks and other significant aspects of the commodity markets. Therefore, you should thoroughly review the disclosure document and study it carefully to determine whether such trading is appropriate for you in light of your financial condition. The CFTC has not passed upon the merits of participating in this trading program nor on the adequacy or accuracy of the disclosure document. Other disclosure statements are required to be provided to you before a commodity account may be opened for you.
“From a risk/return perspective, CTAs in the Evolving phase are the most attractive. Risks are significantly reduced, performance is strong and the staff is often confident, energized and creative. The CTA is rapidly evolving into a successful and professional asset management company. This is the time to invest with the CTA – a window of
“Looks like I got out at exactly the wrong time. I wish I would have stayed in your program. Take Care,
- Craig K."